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- Tue Jul 15, 2014 2:21 pm
- Forum: Econometric Discussions
- Topic: Cointegration vector falls out of range
- Replies: 0
- Views: 1332
Cointegration vector falls out of range
Hello all Would really appreciate help here. Am doing a price transmission study using only 2 price series which are I(1) both and showed 1 cointegrating equation when carrying out the Johansen test. Now when i run the VECM, results show there is a long causality running from the exogenous variable ...